Approximation for portfolio optimization in a financial market with shot-noise jumps
Oleksandra Putyatina, Jörn Sass
| Year of publication: |
June 2018
|
|---|---|
| Authors: | Putyatina, Oleksandra ; Sass, Jörn |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 15.2018, 2, p. 161-186
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| Subject: | Utility maximization | HJB equation | Compound Poisson process | Gaussian approximation | Merton problem | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-017-0294-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011876522